May Equity Index Product Review

Equity products performance

 

Product Code

Bloomberg Ticker

May ADV

YTD ADV*

Open Interest

Total

 

 

8,214,471

7,709,847

9,347,152

S&P 500

 

 

4,674,343

4,398,279

7,401,326

Futures

 

 

3,601,696

3,288,982

3,055,297

E-mini

ES

ESA Index

1,985,280

1,868,089

2,265,803

Micro E-mini

MES

HWA Index

1,566,786

1,370,785

240,473

BTIC

EST

STEA Index

40,994

39,840

-

BTIC+

ES1, ES2

ES1BTIC yyyymmdd Index

12

25

-

Dividend Future

SDA, SDI

ASDA, ISDA Index

6,138

4,876

233,287

Total Return Futures

TRI, CTR

SRTA, CTIA Index

1,704

3,593

301,935

TACO

ESQ

TQA Index

203

244

-

TACO+

EQ1

EQ1TACO yyyymmdd Index

 

-

-

E-mini ESG

ESG

SLBA Index

579

1,531

13,799

Options

 

 

1,072,647

1,109,297

4,346,029

E-mini

 

 

1,061,767

1,097,152

4,301,418

End-Of-Month

EW

SCA Index

118,103

133,741

499,296

Quarterlies

ES

ESA Index

164,171

160,162

2,077,247

Weekly (M, W, F)

EW1 - EW4

1EA-4EA Index

779,493

803,250

1,697,647

Micro E-mini

 

 

10,880

12,144

44,611

End-Of-Month

EX

HWOA Index

2,348

2,612

7,568

Quarterlies

MES

HWAA Index

6,237

7,235

10,532

Weekly

EX1-EX4

HXS1-HXS4 Index

2,295

2,297

26,511

NASDAQ

 

 

2,581,052

2,349,802

666,859

Futures

 

 

2,506,162

2,298,977

377,269

E-mini

NQ

NQA Index

743,772

715,201

263,746

Micro E-mini

MNQ

HWB Index

1,757,069

1,579,455

113,523

BTIC

NQT

QNTA Index

5,321

4,321

-

Options

 

 

74,890

50,825

289,590

E-mini

 

 

72,197

47,805

283,645

Micro E-mini

 

 

2693

3,020

5,945

End-Of-Month

MQE

HIWA Index

501

499

3,210

Quarterlies

MNQ

HWBA Index

1,783

1,970

2,032

Weekly

MQ1-MQ4

HWY1-HWY4 Index

409

551

703

DOW JONES

 

 

421,678

439,344

113,736

Futures

 

 

421,587

439,232

111,880

E-mini

YM

DMA Index

202,559

221,759

84,654

Micro E-mini

MYM

HWI Index

218,248

216,558

113,523

BTIC

YMT

YMTA Index

780

915

-

Options

 

 

90

113

1,856

E-mini

 

 

90

113

1,856

Russell 2000

 

 

424,210

421,062

642,796

Futures

 

 

416,784

413,175

587,142

E-mini

RTY

RTYA Index

233,485

244,950

551,516

Micro E-mini

M2K

HWR Index

179,046

163,723

35,626

BTIC

RLT

RLBA Index

4,253

4,503

-

Options

 

 

7,426

7,887

25,948

E-mini

 

 

7,426

7,887

25,948

S&P 400 - MIDCAP

 

 

13,267

16,513

56,913

Futures

 

 

13,267

16,513

56,913

E-mini

ME

FAA Index

13,267

16,513

56,913

INTERNATIONAL

 

 

41,204

31,555

51,514

Futures

 

 

41,204

31,555

51,514

Nikkei 225

ENY, N1, NK

YMEA, NXA, NHA Index

41,196

31,433

51,307

Ibovespa

IBV

IBAA Index

3

1

26

TOPIX

TPY

TPYA Index

5

121

181

SECTORS

 

 

13,175

11,829

201,008

Futures

 

 

13,175

11,829

201,008

Comm. Srvcs.

XAZ

XASA Index

188

112

1,666

Cons. Discr.

XAY

IXYA Index

719

413

5,082

Cons. Staples

XAP

IXRA Index

1,282

786

10,953

Energy

XAE

IXPA Index

2,147

2,257

37,307

Financial

XAF

IXAA Index

1,420

1,422

29,028

Health Care

XAV

IXCA Index

1,075

863

20,762

Industrial

XAI

IXIA Index

1,368

914

15,258

Materials

XAB

IXDA Index

508

557

7,825

Real Estate

XAR

XARA Index

117

298

7,280

Technology

XAK

IXTA Index

862

933

12,060

Utilities

XAU

IXSA Index

1,339

1,184

13,956

Dow Jones Real Estate

JR

DJEA Index

2,148

2,089

39,719

Nasdaq Biotech

BQ

DBA Index

3

1

112

FTSE

 

 

20

59

381

Futures

 

 

20

59

381

FTSE China 50

FT5

FCYA Index

20

59

381

Russell 1000

 

 

1,084

1,517

46,570

Futures

 

 

1,084

1,517

46,570

Russell 1000

RS1

RSYA Index

477

332

13,134

Russell 1000 Growth

RSG

RGYA Index

193

350

4,975

Russell 1000 Value

RSV

RVYA Index

415

834

28,461

Cryptocurrency

 

 

41,960

35,311

47,095

Futures

 

 

40,965

33,900

42,005

Bitcoin

BTC

BTCA Curncy

11,936

9,208

11,858

Micro Bitcoin

MBT

BMRA Curncy

22,545

19,444

26,545

Ether

ETH

DCRA Curncy

6,484

5,248

3,602

MicroEther

ETH

MERA Curncy

26,011

20,603

113,680

Options

 

 

994

1,412

5,090

Bitcoin

BTC

BTCA Curncy

181

113

2,235

Other US Indices

 

 

2,477

4,575

118,954

Futures

 

 

2,491

5,111

108,071

*Through May 31, 2022

ADV and open interest

  • Equity Index futures and options volume averaged 8.4M contracts per day in May 2022 (+49% vs. May-21)
  • Equity Index open interest averaged 9.8M contracts per day for the month of May 2022 (+21% vs. May-21)

Source: CME Group

Product highlights

Alternative investments/Cryptocurrencies

Source: CME Group

Bitcoin futures and options: Futures May ADV was 11.7K (+52% vs. Apr-22) and open interest averaged 11.2K. LOIH averaged 83 YTD indicating continued institutional interest. Over 66.5K Bitcoin options have traded since their launch in early 2020 for a notional value of nearly $8.7B. May average OI was 2.5K (+53% vs. Apr-22), an average daily value of nearly $380M.

Micro Bitcoin futures: Launched May-21, Micro Bitcoin futures have traded over 5.7M contracts in their first year. The futures are 1/10 of a bitcoin and settled to the CF Bitcoin Reference Rate. May ADV was 22.5K (+49% vs. Apr-22) and OI averaged 20.4K (+6% vs. Apr-22).

Micro Bitcoin and Micro Ether options: CME Group introduced options on Micro Bitcoin futures and options on Micro Ether futures starting March 28. The new options are right-sized at 1/10 of their respective tokens. Over 58.5K contracts traded in the first month across the various expiries with trades submitted from EMEA, APAC, and North America.

Learn more here:

Ether futures: CME Group launched Ether futures on February 8, 2021. The contract is cash-settled and based on the regulated CME Group CF Ether-Dollar Reference Rate. Over 1.4M CME Group Ether futures contracts have traded since launch (equivalent to 71.5M Ether). May ADV was 6.5K (+55% vs. Apr-22) and open interest averaged 3.4K (+2% vs. Apr-22).

Micro Ether futures: Launched December 21, nearly 2.3M contracts have traded since launch. ADV in May was 26K (+32% vs. Apr-22) and OI averaged 72.5K (+92% vs. Apr-22).  Sized at 1/10 of one ether, the contract provides an efficient, cost-effective way to manage exposure to one of the largest cryptocurrencies by market capitalization. Enjoy the same features of the larger Ether futures (ETH) at a fraction of the size, settled to the regulated CME Group CF Ether-Dollar Reference Rate.

Equity Index:

Micro E-mini futures: Over 1.4B Micro E-mini Equity Index futures contracts have traded since launch. May ADV was 3.7M across the four indices. Micro E-mini Nasdaq-100 futures has maintained its leading share of ADV at 1.8M in May (+33% vs. Apr-22), followed by Micro E-mini S&P 500 futures at 1.6M (+33% vs. Apr-22).

Source: CME Group

For more information please visit the Micro E-mini futures landing page.

Micro E-mini options: CME Group launched Micro E-mini options on the S&P 500 and Nasdaq-100 indices in August 2020. Micro E-mini Nasdaq-100 options continue to gain ground against their Micro E-mini S&P 500 option counterpart in terms of volume contribution. Since launch, a combined 4.3M contracts have traded, with a May ADV of 13.6K (+22% vs. Apr-22).

For more information on Micro E-mini options, please visit the following:

Source: CME Group

E-mini S&P 500 Tuesday and Thursday options: CME Group launched E-mini S&P 500 Tuesday and Thursday options April 25. The new options offer more opportunities to manage short-term equity exposure with more choices to trade throughout the week. The contracts complement the existing suite of Quarterly, End-of-Month, and Monday, Wednesday, and Friday Weekly options. These options settle into liquidity E-mini S&P 500 futures, which have averaged 1.9M contracts daily. Launch-to-date ADV is 116.6K between both contracts, with a record trading day of 221,099 on May 17. Learn more here.

S&P 500 Dividend futures: Equity Index Dividend futures provide an efficient tool to hedge or express a view on the U.S. dividend market, regardless of the price movement of the benchmark indices. Quarterly and annual contracts are available on the S&P 500 Index. May ADV was 5.9K (+101% vs. Apr-22) and open interest averaged 220K (+4% vs. Apr-22). Annual contracts are available on the Nasdaq-100 and Russell 2000 Indices as of April 11.

Please visit the following for more detail:

Source: CME Group

E-mini S&P 500 ESG futures: The Environmental, Social, and Governance (ESG) investment theme continues to gain attention and implementation as the need for capitally efficient ESG solutions has grown. The S&P 500 ESG futures contracts allows market participants to gain price exposure to an index that closely tracks the performance of the S&P 500, while adhering to ESG principles. CME Group E-mini S&P 500 ESG futures continue to experience significant growth, with May open interest averaging 13.3K.

Source: CME Group

E-mini S&P Europe 350 ESG futures: Launched May 2021, the new E-mini S&P Europe 350 ESG futures are cash-settled to the S&P Europe 350 ESG index. The index is Pan-European, covering developed markets across over 15 different countries. The four largest individual country weights as of April 8, 2021 are UK 23.58%, France 18.08%, Switzerland 17,16%, and Germany 14.90%. The index is based on the robust ESG index methodology, same as the one applied to S&P 500 ESG index and is right sized in terms of number of constituents at around 230. Since launch, nearly 3.4K futures have traded.

Please visit the following for further detail:

Total Return futures: CME Group launched the S&P 500 Adjusted Interest Rate (AIR) Total Return futures in September 2020. May OI averaged a record 215K (+3% vs. Apr-22). May 24 reached a record OI of 219,766.

Please visit the following for further detail:

Source: CME Group

Adjusted Interest Rate (AIR) Total Return futures Expansion:

  • FTSE 100 Adjusted Interest Rate (AIR) total Return futures: On June 7, CME Group launched AIR Total Return futures on the FTSE 100 Index. The new futures will give total return exposure with an overnight floating rate built in using SONIA as the financing reference rate.

    To learn more, please visit the following:
  • Nasdaq-100, Russell 1000, Russell 2000, and DJIA AIR Total Return futures: Launched July 26, 2021, now access U.S. Indices total return equity index exposure with an enhanced floating rate.

    Learn more here:

Nasdaq-100 Volatility Index futures: On January 10, VOLQ futures underwent a multiplier change reduction from $1,000 to $100, allowing market participants to hedge risk and express a view around Nasdaq-100 at-the-money volatility with more precision. Since the multiplier change implementation, over 16.9K contracts have traded. Learn more here.

Source: CME Group

Nikkei futures: Nikkei 225 futures ADV reached 41.2K in May (+18% vs. Apr-22) and average OI was 57K for the month (+6% vs. Apr-22). Nikkei 225 futures can be transacted through the MOS (Mutual Offset System). In 2021 about 75% of volume was traded outside of Tokyo cash hours and more than 60% of ADV was traded before the U.S. market open (during non-U.S. hours).

Source: CME Group

Bloomberg Commodity Index: Effective in December, CME Group adjusted the contract specifications and fees for our Bloomberg Commodity Index futures. Fees were lowered, while the minimum price increment and daily settlement were changed to allow participants to more seamlessly access our markets. More information can be found here.

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